For those who are unfamiliar with cooking, you have to use oil when cooking in a wok. Peanut or vegetable oil are best -- they have high smoke points and won't burn in the temperatures required to properly cook in a wok. Start off with a tablespoon or so, and add more as necessary to prevent food from sticking.

Edit: And don't buy a nonstick wok, get one made from carbon steel. It's a bad idea to cook at high temperatures with a nonstick coating, and it won't give you the savory flavor that woks are known for.